Police say arrests are the culmination of a two-year investigation
The men – aged 19, 20, 21 and 33 – were detained in Derry on Wednesday morning under the Terrorism Act.
All four have been taken to the Serious Crime Suite at Musgrave Police Station in Belfast for interview.
Ms McKee, 27, was shot dead by dissident republicans in April while she observed rioting in the Creggan area of the city.
The extremist group that styles itself the New IRA was responsible for the killing.
Police Service of Northern Ireland Detective Superintendent Jason Murphy said: “These arrests are the culmination of a detailed two-year investigation into Lyra’s murder and the events which preceded it.
“The local community have supported the Police Service of Northern Ireland throughout the course of this protracted investigation and I wish to thank them for their continued support and patience whilst this phase of the investigation is ongoing.”
One man, Paul McIntyre, 53, from Kinnego Park in Derry, has already been charged with Ms McKee’s murder.
Another man has been charged with rioting and other offences related to the events of the night in Creggan.
McKee, a rising star in the world of journalism, covered sectarianism extensively throughout her short career.
Her work appeared in a number of publications, including The Independent.
McKee was also a prominent gay rights activist and campaigned for greater equality for same-sex couples in Northern Ireland.